Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0014
Annualized Std Dev 0.1536
Annualized Sharpe (Rf=0%) -0.0091

Row

Daily Return Statistics

Close
Observations 4610.0000
NAs 1.0000
Minimum -0.1328
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0037
Maximum 0.1728
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0097
Skewness 0.3441
Kurtosis 44.2882

Downside Risk

Close
Semi Deviation 0.0070
Gain Deviation 0.0077
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.4825
Historical VaR (95%) -0.0122
Historical ES (95%) -0.0231
Modified VaR (95%) -0.0063
Modified ES (95%) -0.0063
From Trough To Depth Length To Trough Recovery
2003-06-11 2008-10-10 2012-09-25 -0.4825 2342 1345 997
2012-11-13 2020-03-18 NA -0.2950 2102 1848 NA
2002-11-29 2003-01-07 2003-02-10 -0.0400 49 26 23
2003-02-12 2003-03-14 2003-03-31 -0.0285 33 22 11
2012-09-27 2012-10-11 2012-10-25 -0.0270 21 11 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA -0.1 0.1 0
2003 -0.4 -0.3 -1.3 0.3 1.1 -0.6 -0.3 0.6 0.3 1.4 -0.8 0.9 1
2004 1.1 -0.4 -0.5 2.2 1 1.8 0 0.3 -0.4 0.6 -0.3 1.3 6.9
2005 1.1 0.7 0.6 -0.6 1.1 0.5 0.1 0.4 0.7 0.4 1.1 -0.1 6.3
2006 -0.3 -0.2 0.7 0.6 1.1 -0.3 0.1 -0.4 -0.3 0.1 -0.4 0.1 0.7
2007 0.7 0.8 0.1 0.8 -0.6 0.3 -0.7 1.1 1.6 -1.4 3.6 1.9 8.5
2008 0.9 -1.2 0.6 -0.8 -0.3 0.3 -0.2 -0.6 5.1 0.9 -2.6 -1 1
2009 1 1.4 -1 0.2 -0.3 0.3 1.2 0.1 -0.1 0 0.3 -0.3 2.8
2010 0.6 0.1 -0.7 -0.9 0.7 0.7 -0.1 0.3 -0.1 0.3 -1.8 2.7 1.8
2011 0.2 0.4 -0.2 0.6 -0.3 0.4 1 0.4 0.8 0.8 0.9 0.1 5.3
2012 0.7 -0.3 0.1 0.1 -0.4 0.2 -0.5 0 -0.6 0 0.6 -0.6 -0.7
2013 0 0.3 -0.3 -0.3 0 2.2 -1.6 1 -1 0.6 -0.2 -0.2 0.3
2014 0.2 0.5 -0.2 0.9 0.2 -0.4 0.4 0.1 0.4 -0.6 0.2 0 1.8
2015 0.4 0.3 0 -0.6 0.4 0 0.3 0.2 -0.5 -0.2 0.2 0 0.5
2016 1.2 0.4 0.4 0.3 0.2 0.5 -0.4 -0.1 -0.5 0 -1 0.3 1.2
2017 0.7 -0.4 0.4 -0.2 0.2 0.3 0 0.1 -0.1 0.4 0.4 0.1 1.8
2018 -0.3 -0.2 0.7 0.2 0 0 -0.2 -0.1 -0.2 -0.1 0.3 -0.1 -0.1
2019 0.2 0 -0.1 0.7 0.1 0 0.3 -0.1 -0.1 0.4 0.2 0.2 1.8
2020 0.3 -0.9 -3.5 0.8 0.2 0.5 0.5 1.3 -0.1 0.3 0.1 0.9 0.2
2021 0.1 -0.3 -0.2 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart